Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model
This paper attempts to examine the short-run and long-run causal relationship between Kuala Lumpur Composite Index (KLCI) and selected macroeconomic variables namely inflation, money supply and nominal effective exchange rate during the pre and post crisis period from 1987 until 1995 and from 1999 u...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Serials Publication
2010
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| Online Access: | http://irep.iium.edu.my/39860/ http://irep.iium.edu.my/39860/1/6-Mohamed_Asmy_Bin%5B1%5D.pdf |
| _version_ | 1848781856791592960 |
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| author | Mohd Thas Thaker, Mohamed Asmy Rohilina, Wisam Hassama, Aris Amin, Md. Fouad Bin |
| author_facet | Mohd Thas Thaker, Mohamed Asmy Rohilina, Wisam Hassama, Aris Amin, Md. Fouad Bin |
| author_sort | Mohd Thas Thaker, Mohamed Asmy |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper attempts to examine the short-run and long-run causal relationship between Kuala Lumpur Composite Index (KLCI) and selected macroeconomic variables namely inflation, money supply and nominal effective exchange rate during the pre and post crisis period from 1987 until 1995 and from 1999 until 2007 by using monthly data. The methodology used in this study is time
series econometric techniques i.e. the unit root test, cointegration test, error correction model (ECM), variance decomposition and impulse response function. The findings show that there is cointegration between stock prices and macroeconomic variables. The results suggest that inflation, money supply and exchange rate seem to significantly affect the KLCI. These variables considered
to be emphasized as the policy instruments by the government in order to stabilize stock prices. |
| first_indexed | 2025-11-14T15:56:13Z |
| format | Article |
| id | iium-39860 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:56:13Z |
| publishDate | 2010 |
| publisher | Serials Publication |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-398602015-01-06T03:47:45Z http://irep.iium.edu.my/39860/ Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model Mohd Thas Thaker, Mohamed Asmy Rohilina, Wisam Hassama, Aris Amin, Md. Fouad Bin HG Finance This paper attempts to examine the short-run and long-run causal relationship between Kuala Lumpur Composite Index (KLCI) and selected macroeconomic variables namely inflation, money supply and nominal effective exchange rate during the pre and post crisis period from 1987 until 1995 and from 1999 until 2007 by using monthly data. The methodology used in this study is time series econometric techniques i.e. the unit root test, cointegration test, error correction model (ECM), variance decomposition and impulse response function. The findings show that there is cointegration between stock prices and macroeconomic variables. The results suggest that inflation, money supply and exchange rate seem to significantly affect the KLCI. These variables considered to be emphasized as the policy instruments by the government in order to stabilize stock prices. Serials Publication 2010 Article PeerReviewed application/pdf en http://irep.iium.edu.my/39860/1/6-Mohamed_Asmy_Bin%5B1%5D.pdf Mohd Thas Thaker, Mohamed Asmy and Rohilina, Wisam and Hassama, Aris and Amin, Md. Fouad Bin (2010) Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model. The Global Journal of Finance and Economics, 7 (2). pp. 149-168. ISSN 0972-9496 http://www.serialsjournals.com/special_issue.php?journals_id=51 |
| spellingShingle | HG Finance Mohd Thas Thaker, Mohamed Asmy Rohilina, Wisam Hassama, Aris Amin, Md. Fouad Bin Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title | Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title_full | Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title_fullStr | Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title_full_unstemmed | Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title_short | Effects of macroeconomic variables on stock prices in Malaysia: an approach of error correction model |
| title_sort | effects of macroeconomic variables on stock prices in malaysia: an approach of error correction model |
| topic | HG Finance |
| url | http://irep.iium.edu.my/39860/ http://irep.iium.edu.my/39860/ http://irep.iium.edu.my/39860/1/6-Mohamed_Asmy_Bin%5B1%5D.pdf |